http://allaboutalpha.com/blog/2006/08/22/how-active-is-your-fund-manager-a-new-measure-that-predicts-performance/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Thu, 18 Mar 2010 13:53:53 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/08/22/how-active-is-your-fund-manager-a-new-measure-that-predicts-performance/comment-page-1/#comment-207760 List of Penny Stocks Mon, 28 Sep 2009 18:29:25 +0000 http://www.allaboutalpha.com/?p=184#comment-207760 I wonder what affect ETF's have had on this. I wonder what affect ETF’s have had on this.

]]> http://allaboutalpha.com/blog/2006/08/22/how-active-is-your-fund-manager-a-new-measure-that-predicts-performance/comment-page-1/#comment-6399 allaboutalpha.com: Welcome to AllAboutAlpha.com Fri, 18 May 2007 01:40:01 +0000 http://www.allaboutalpha.com/?p=184#comment-6399 [...] Maybe I’m working too much.  But the more I research alpha, the less I know how to define it.  While Andrew Lo asks “Where does alpha come from?”, I’m now back at “What is alpha”? Â For example, what might look like alpha over one timeframe is actually “exotic beta” when you shift the window of analysis only a few months.  What looks like alpha vs. one benchmark may, of course, be beta when compared to a different benchmark.  There’s ”active weight“, “active component“, “active share“, “absolute returns”, “reliance on public information“, “manager value-added” - even ”accidental alpha“. [...] [...] Maybe I’m working too much.  But the more I research alpha, the less I know how to define it.  While Andrew Lo asks “Where does alpha come from?”, I’m now back at “What is alpha”? Â For example, what might look like alpha over one timeframe is actually “exotic beta” when you shift the window of analysis only a few months.  What looks like alpha vs. one benchmark may, of course, be beta when compared to a different benchmark.  There’s ”active weight“, “active component“, “active share“, “absolute returns”, “reliance on public information“, “manager value-added” – even ”accidental alpha“. [...]

]]> http://allaboutalpha.com/blog/2006/08/22/how-active-is-your-fund-manager-a-new-measure-that-predicts-performance/comment-page-1/#comment-5005 allaboutalpha.com: Welcome to AllAboutAlpha.com Tue, 01 May 2007 23:05:58 +0000 http://www.allaboutalpha.com/?p=184#comment-5005 [...] We were reminded of this study by Martijn Cremers & Antti Petajisto of the Yale School of Management (originally written last summer and covered in these pages but recently updated).  Cremers and Petajisto propose a new measure of active management to complement the traditional market correlation measure (a.k.a. “tracking error”).  Instead of looking at a fund’s return stream to infer the size of its active and passive components, the new metric actually measures the deviation of each holding from index weights.  Cremers & Petajisto suggest this measure be used as a complement to, not a replacement for, tracking error.  [...] [...] We were reminded of this study by Martijn Cremers & Antti Petajisto of the Yale School of Management (originally written last summer and covered in these pages but recently updated).  Cremers and Petajisto propose a new measure of active management to complement the traditional market correlation measure (a.k.a. “tracking error”).  Instead of looking at a fund’s return stream to infer the size of its active and passive components, the new metric actually measures the deviation of each holding from index weights.  Cremers & Petajisto suggest this measure be used as a complement to, not a replacement for, tracking error.  [...]

]]> http://allaboutalpha.com/blog/2006/08/22/how-active-is-your-fund-manager-a-new-measure-that-predicts-performance/comment-page-1/#comment-360 All About Alpha » Blog Archives » More Bad News for Mutual Funds Fri, 26 Jan 2007 02:23:54 +0000 http://www.allaboutalpha.com/?p=184#comment-360 [...] This might explain why mutual funds have become closest indexers (as this study suggests).  Perhaps they acknowledge this phenomenon and have quietly thrown in the towel on active management.  If so, they haven’t yet thrown in the towel on active management fees, however.  [...] [...] This might explain why mutual funds have become closest indexers (as this study suggests).  Perhaps they acknowledge this phenomenon and have quietly thrown in the towel on active management.  If so, they haven’t yet thrown in the towel on active management fees, however.  [...]

]]> http://allaboutalpha.com/blog/2006/08/22/how-active-is-your-fund-manager-a-new-measure-that-predicts-performance/comment-page-1/#comment-92 All About Alpha » Blog Archives » Hedge Fund Cloning to “Turn Industry Upside Down” Tue, 28 Nov 2006 03:22:21 +0000 http://www.allaboutalpha.com/?p=184#comment-92 [...] We agree, but would extend this reasoning to the world of long-only investing (e.g. mutual funds), where disguising beta as alpha has been the norm for some time (see research on index-hugging by mutual funds). [...] [...] We agree, but would extend this reasoning to the world of long-only investing (e.g. mutual funds), where disguising beta as alpha has been the norm for some time (see research on index-hugging by mutual funds). [...]

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